- author = "S. Patel and C. D. Clack",
- title = "{ALPS} Evaluation in Financial Portfolio Optimisation",
- booktitle = "2007 IEEE Congress on Evolutionary Computation",
- year = "2007",
- editor = "Dipti Srinivasan and Lipo Wang",
- pages = "813--819",
- address = "Singapore",
- month = "25-28 " # sep,
- organization = "IEEE Computational Intelligence Society",
- publisher = "IEEE Press",
- ISBN = "1-4244-1340-0",
- file = "1947.pdf",
- keywords = "genetic algorithms, genetic programming",
-
URL = "
https://discovery.ucl.ac.uk/id/eprint/13268/1/13268.pdf",
-
DOI = "
doi:10.1109/CEC.2007.4424554",
- size = "7 pages",
-
abstract = "Hornby's Age-Layered Population Structure claims to
reduce premature convergence in Evolutionary
Algorithms. We provide the first evaluation of ALPS on
a real world problem the evolution of non-linear factor
models for financial portfolio optimisation. We
incorporate ALPS into our GP system, coupled to an
investment simulator, and provide a head-to-head
comparison between ALPS GP and Standard GP.
By investigating the performance of ALPS both during training and during out-of-sample validation, we provide empirical evidence of the benefits of ALPS; we show that it really does reduce convergence, and provides fitter individuals, in our problem domain. The ALPS GP system evolves non-linear factor models that out-perform not only the Standard GP system, but also the market index by a significant amount.",
-
notes = "CEC 2007 - A joint meeting of the IEEE, the EPS, and
the IET.
IEEE Catalog Number: 07TH8963C",
